Details about Felix Chan

Access statistics for papers by Felix Chan.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pch631

Working Papers

2019

1. Equivalence of optimal forecast combinations under affine constraints
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
2. Modelling with Discretized Ordered Choice Covariates
   CEU Working Papers, Department of Economics, Central European University

2018

3. Even Count Estimation
   CEU Working Papers, Department of Economics, Central European University
   See also Journal Article Event count estimation, Econometric Reviews, Taylor & Francis Journals (2022) (2022)

2017

4. A note on the relation between fiscal equalization and economic growth
   MPRA Paper, University Library of Munich, Germany

2014

5. Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity
   Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (1)

2013

6. Advantages of Non-Normality in Testing Cointegration Rank
   Bankwest Curtin Economics Centre Working Paper series, Bankwest Curtin Economics Centre (BCEC), Curtin Business School
7. Modeling and Simulation: An Overview
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2013)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2013) View citations (19)
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013) View citations (2)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2013)

2011

8. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
   Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)
   See also Journal Article Structure and asymptotic theory for nonlinear models with GARCH erros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2015) View citations (2) (2015)

2009

9. It Pays to Violate: How Effective are the Basel Accord Penalties?
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
   Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)

2008

10. Stability Tests for Heterogeneous Panel Data
    Working Papers, Hong Kong Institute for Monetary Research View citations (3)
    Also in Working Papers, HAL (2006)
    PSE Working Papers, HAL (2006) View citations (1)
    IHEID Working Papers, Economics Section, The Graduate Institute of International Studies (2006) View citations (1)

2005

11. Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2003

12. Modelling the Asymmetric Volatility of Electronics Patents in the USA
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    See also Journal Article Modelling the asymmetric volatility of electronics patents in the USA, Mathematics and Computers in Simulation (MATCOM), Elsevier (2004) View citations (1) (2004)
13. On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
14. Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)

2001

15. Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
    See also Journal Article Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers, Applied Financial Economics, Taylor & Francis Journals (2003) View citations (29) (2003)

Journal Articles

2023

1. A pulse check on recent developments in time series econometrics
   Journal of Economic Surveys, 2023, 37, (1), 3-6
2. Modeling time‐varying higher‐order conditional moments: A survey
   Journal of Economic Surveys, 2023, 37, (1), 33-57

2022

3. Event count estimation
   Econometric Reviews, 2022, 41, (2), 147-176
   See also Working Paper Even Count Estimation, CEU Working Papers (2018) (2018)

2021

4. A review of Ride-Matching strategies for Ridesourcing and other similar services
   Transport Reviews, 2021, 41, (5), 578-599

2018

5. Some theoretical results on forecast combinations
   International Journal of Forecasting, 2018, 34, (1), 64-74 View citations (26)

2017

6. Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
   Journal of Asian Economics, 2017, 50, (C), 62-72 View citations (2)
7. The Validity of Investor Sentiment Proxies
   International Review of Finance, 2017, 17, (3), 473-477 View citations (7)

2016

8. Liquidation discount—a novel application of ARFIMA–GARCH
   Journal of Empirical Finance, 2016, 36, (C), 151-161

2015

9. Permanent and transitory shocks in the presence of asymmetric error correction
   Applied Economics, 2015, 47, (25), 2642-2648
10. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 View citations (2)
    See also Working Paper Structure and Asymptotic theory for Nonlinear Models with GARCH Errors, Econometric Institute Research Papers (2011) (2011)

2013

11. The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
    Mathematics and Computers in Simulation (MATCOM), 2013, 93, (C), 175-189 View citations (4)

2012

12. It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
    Accounting and Finance, 2012, 52, (1), 95-116 View citations (5)
13. Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect
    Journal of Time Series Econometrics, 2012, 4, (2), 35 View citations (12)

2011

14. An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality
    International Journal of Revenue Management, 2011, 5, (1), 63-83
15. Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1385-1396 View citations (17)
16. Model specification in panel data unit root tests with an unknown break
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1299-1309 View citations (6)
17. Spectral analysis of seasonality in tourism demand
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1409-1418 View citations (10)

2009

18. Modeling Volatility in Foreign Currency Option Pricing
    Multinational Finance Journal, 2009, 13, (3-4), 189-208 View citations (2)
19. Modelling time-varying higher moments with maximum entropy density
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (9), 2767-2778 View citations (4)
20. Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
    Econometric Reviews, 2009, 28, (5), 422-440 View citations (240)

2008

21. Efficiency of the foreign currency options market
    Global Finance Journal, 2008, 19, (2), 157-170 View citations (4)
22. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
    Pacific-Basin Finance Journal, 2008, 16, (4), 453-475 View citations (7)
23. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
    Journal of Econometrics, 2008, 147, (1), 163-185 View citations (32)
24. GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
    Econometric Theory, 2008, 24, (6), 1554-1583 View citations (167)
25. Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
    Mathematics and Computers in Simulation (MATCOM), 2008, 78, (2), 155-171 View citations (10)

2007

26. An econometric analysis of asymmetric volatility: Theory and application to patents
    Journal of Econometrics, 2007, 139, (2), 259-284 View citations (226)

2005

27. Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
    Mathematics and Computers in Simulation (MATCOM), 2005, 69, (1), 46-56 View citations (1)

2004

28. Modelling the asymmetric volatility of anti-pollution patents in the USA
    Scientometrics, 2004, 59, (2), 179-197 View citations (1)
29. Modelling the asymmetric volatility of electronics patents in the USA
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 169-184 View citations (1)
    See also Working Paper Modelling the Asymmetric Volatility of Electronics Patents in the USA, CIRJE F-Series (2003) (2003)
30. Trends and volatilities in foreign patents registered in the USA
    Applied Economics, 2004, 36, (6), 585-592 View citations (3)

2003

31. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
    Applied Financial Economics, 2003, 13, (8), 581-592 View citations (29)
    See also Working Paper Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, ISER Discussion Paper (2001) View citations (2) (2001)

2002

32. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
    Journal of Applied Econometrics, 2002, 17, (5), 509-534 View citations (46)

Edited books

2022

1. Econometrics with Machine Learning
   Advanced Studies in Theoretical and Applied Econometrics, Springer View citations (3)

Chapters

2022

1. Linear Econometric Models with Machine Learning
   Springer View citations (2)
2. Nonlinear Econometric Models with Machine Learning
   Springer View citations (2)